If you have two applications in two separate spaces (e.g iPhoto and Keynote), and you would like to drag an item from the first application to drop in the second application, here are two easy ways to do just that.

First, you can drag the item (file, photo, etc..), press F8 and then select the other space, then drop the item into the other application. Or you can drag the file, press Command-Tab, and then drop the dragged icon on the other application. You will then be switched automatically to the other space to drop your stuff, just like in Tiger.

[robg adds: When you drag and drop between spaces, OS X will return you to the originating space after the drop. While this makes logical sense, when I'm dropping something, it's usually because I want to do something with it, so then I have to switch back to the space I just dropped the item into. As far as I know, there's no setting to change this behavior.]

A third way, and one that partially solves Robs issue, is to have Spaces assigned to a corner, then drag the item from one app, to the hot corner, then to the second space, hover over the space 'till it springs, then drop.

Rob's right that it springs back to the source space if you drag to an application, but if you drag to finder or the desktop it appears to stay at the destination space after dropping.